Large deviations for multi-scale Markov processes via Hamilton-Jacobi-Bellman equations

Della Corte Serena, Delft University of Technology

We consider the context of two-scale Markov processes modelling biochemical phenomena, such as chemical reactions involving enzymatic molecules. Taking into account the limit of the time-scale separation tending to infinity, we prove path space large deviations for the slow variable of the process. The large deviations principle is established using a method developed by J. Feng and T. G. Kurtz, based on the analysis of an associated Hamilton-Jacobi-Bellman equation. The talk is based on two joint works with Richard Kraaij.

Area: IS15 - Stochastic processes in the natural sciences (Giuseppe D'Onofrio/ Serena Spina)

Keywords: Large deviations, multi-scale Markov processes, Hamilton-Jacobi-Bellman equations, viscosity solutions

Please Login in order to download this file